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Asset pricing with return extrapolation
Journal of Financial Economics ( IF 8.238 ) Pub Date : 2021-12-02 , DOI: 10.1016/j.jfineco.2021.10.009
Lawrence J. Jin 1 , Pengfei Sui 2
Affiliation  

We present a new model of asset prices in which a representative agent has extrapolative beliefs about stock market returns and Epstein-Zin preferences. The model quantitatively explains facts about asset prices, return expectations, and cash-flow expectations. When the agent’s beliefs about stock market returns are calibrated to survey expectations of investors, the model generates excess volatility and predictability of stock market returns, a high equity premium, a low and stable risk-free rate, and a low correlation between stock market returns and consumption growth. Moreover, the model has implications for expectations about future cash flows that are consistent with empirical findings.



中文翻译:

带有回报外推的资产定价

我们提出了一种新的资产价格模型,其中代表代理人对股票市场回报和 Epstein-Zin 偏好具有外推信念。该模型定量地解释了有关资产价格、回报预期和现金流预期的事实。当代理人对股票市场收益的信念被校准以调查投资者的预期时,该模型产生了股票市场收益的过度波动和可预测性、高股权溢价、低且稳定的无风险利率以及股票市场收益之间的低相关性和消费增长。此外,该模型对与实证结果一致的未来现金流预期具有影响。

更新日期:2021-12-02
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